您当前的位置:首页 >科学研究 > 学术交流

学术报告四十二:Optional investment and proportional reinsurance for a jump-diffusion risk model with......

来源:数学与统计学院     作者:     时间:2016/10/25 15:41:25  0次

学与统计学院学术报告[2016] 042

(高水平大学建设系列报告054)

讲座题目: Optional investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables

讲座人:周杰明 讲师  (湖南师范大学

讲座时间:2016102814:00-15:00                 

讲座地点:科技楼514                                                            

报告内容:

This topic considers the optimal control problem with constraints for an insurer. The risk process is assumed to be a jump-diffusion process, and the risk can be reduced through a proportional reinsurance. In addition, the surplus can be invested in the financial market consists of one risk-free asset and one risky asset. The diffusion term can explain the uncertainty associated with the surplus of the insurer or the additional small claims. The objective of the insurer is to maximize the expected exponential utility of terminal wealth. This optimization problem is studied in two cases depending on the diffusion term's explanations. In all cases, with normal constraints on the control variables, the value functions and the corresponding optimal strategies are given in a closed form. Numerical simulations are presented to illustrate the effects of parameters on the optimal strategies as well as the economic meaning behind.

 

报告人简历:周杰明(1986-),男,概率论与数理统计专业研究生毕业,理学博士(后),湖南师范大学硕士研究生导师。2012年-至今,已经在“Insurance: Mathematics and Economics”“ Journal of Computational and Applied Mathematics”、“ Acta Mathematica Scientia”、“ The ANZIAM Journal”、“ Journal of Applied Mathematics”、“ Statistics and Probability Letters”“Communications in Statistics-Theory and Methods”、《数学物理学报》、《应用概率统计》等国内外期刊发表学术论文10多篇。承担课题: ①正在主持国家自然科学基金青年项目1项;②正在主持湖南省教育厅一般项目1项;③正在参与国家自然科学基金面上项目2项;④正在参与省部共建重点实验室开放课题1项;⑤主持并完成湖南省研究生创新基金项目1项;⑥参与并完成国家自然科学基金面上项目1项。研究方向: 数学风险理论、保险精算与风险管理、金融保险中的随机控制理论。

欢迎感兴趣的师生参加!

数学与统计学院

2016-10-25

分享到: 0

数学与统计学院研究生工作奖励措施

2016年深圳大学数学与统计学院暨暑期夏令营招生指南